Stephan Sturm

Available identifiers

Publication	Date of Publication	Type
Small-time large deviations for sample paths of infinite dimensional symmetric Dirichlet processes	2024-11-11	Paper
Cost-efficiency in Incomplete Markets	2022-06-24	Paper
Robust XVA	2021-03-23	Paper
XVA Valuation under Market Illiquidity	2020-11-06	Paper
A Risk-Sharing Framework of Bilateral Contracts	2020-06-08	Paper
Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities	2019-03-20	Paper
Arbitrage‐free XVA	2018-05-25	Paper
FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES	2015-04-24	Paper
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis	2015-02-21	Paper
Portfolio optimization under convex incentive schemes	2015-02-06	Paper
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples	2015-01-23	Paper
On refined volatility smile expansion in the Heston model	2013-06-27	Paper
Is the Minimum Value of an Option on Variance Generated by Local Volatility?	2011-05-02	Paper

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